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Wednesday, August 22, 2007

Data News #2007 - 53
NASDAQ to Increase Frequency of Short Interest Reports in September of 2007

Please Route to:
  • Subscribers to NASDAQ Secured Data Services
  • NASDAQ Market Data Redistributors

Data Product Impacted:
  • NASDAQ Short Interest Report

Summary:
  • Beginning in September of 2007, NASDAQ will double the frequency of its Short Interest Reports.

Overview:
NASDAQ®, in coordination with the Financial Industry Regulatory Authority (FINRA), has decided to increase the posting frequency of short interest data. To promote better market transparency, NASDAQ will transition from monthly to semi-monthly postings of the Short Interest Report beginning in September of 2007. In addition, NASDAQ will enhance the short interest file format to include three new data fields: Days To Cover, Stock Split Flag and New Issue Flag.

2007 Revised Short Interest Posting Schedule:
To accommodate the posting interval change, NASDAQ is amending its short interest publication schedule. For the remainder of 2007, the posting schedule will be:

Month Last Trade Date in Report Last Settlement Date in Report Report Posting Date
August 2007 08/10/2007 08/15/2007 08/24/2007
September 2007 09/11/2007 09/14/2007 09/25/2007
09/25/2007 09/28/2007 10/9/2007
October 2007 10/10/2007 10/15/2007 10/24/2007
10/26/2007 10/31/2007 11/09/2007
November 2007 11/09/2007 11/15/2007 11/27/2007
11/27/2007 11/30/2007 12/11/2007
December 2007 12/11/2007 12/14/2007 12/26/2007
12/26/2007 12/31/2007 01/10/2008

While NASDAQ will support two postings for September 2007, the new format changes will be implemented with the file to be posted on October 9, 2007. The initial report for September 2007 will be based on the current short interest report model.

Short Interest File Format Changes:
In association with the reporting interval changes, NASDAQ will be modifying the Short Interest FTP file formats. Beginning with the report posted on October 9, 2007, the new Short Interest file format will be:

Data Field Data Type (Length) Field Description
Security Name VarChar (256) Issue name in the NASDAQ system for the given security.
Security Symbol VarChar (14) NASDAQ-assigned symbol for the given security.
Current Shares Short Number (16) Total number of shares in the security that are reflected on the books and records of the reporting firm(s) as short as defined by SEC Rule 200(a) as of the current reporting period’s designated settlement date.
Previous Shares Short Number (16) Total number of shares reported as short for the previous reporting period.
Change in Shares Short Number (17) Difference in Shares Short between the current reporting period and the previous reporting period.
Percent Change Number (17) Percent change from the current reporting period’s short interest compared to the previous reporting period’s short interest. Formula (rounded to hundredths): [Current Short Interest - Previous Short Interest) / Previous Short Interest) * 100].
Average Daily Share Volume Number (16) Daily average number of shares traded for the security during the current and the previous reporting period.
Days to Cover Number (7) The number of days of average share volume it would require to buy all of the shares that were sold short during the reporting period. Formula (rounded to hundredths): Short Interest / Average Daily Share Volume.

“1.00” will be displayed for any values equal or less than one (i.e., Average Daily Share volume is equal to or greater than Short Interest).

“N/A will be displayed If the days to cover is zero (i.e., Average Daily Share Volume is Zero).
Stock Split Flag Char (Y/N)/ 1 byte Security was subject to a stock split or stock dividend adjustment during the current reporting period.
New Issue Flag Char (Y/N)/ 1 byte Issue was listed on NASDAQ during the current reporting period.

Please note that the reporting period is bound by the current and previous settlement dates as listed on the short interest publication schedule above.

Short Interest File Name Changes:
In light of the data content changes, NASDAQ will rename the short interest files. Beginning with the file posted on October 9, 2007, the new naming convention for the short interest report will be:

File Name Convention Reporting Period
shrtyyyymmmid.txt Reporting period for which the listed settlement date falls in the middle of a calendar month
shrtyyyymmend.txt Reporting period for which the listed settlement date falls at the end of a calendar month

Transition Notes for September 2007:
As NASDAQ is making the short interest file transition in the middle of September, the first semi-monthly report will be posted on October 9, 2007. Under the new file naming convention, this report will be shrt200709end.txt as the data will be based on the last settlement date in September of 2007. For the October 9th publication, the short sale report data will be based on the two week settlement period beginning September 17, 2007, and running through September 28, 2007.

Please note that NASDAQ will use the current short interest file format and naming schema for the report posted on September 25, 2007. Under the current schema, the September 25th publication will be based on the one-month settlement period beginning on August 16, 2007, and running through September 14, 2007.

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